DAVE Options History — May 2008

In May 2008, DAVE traded between $288.00 and $319.36. ATM implied volatility averaged 43.4%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 7.6% (HV 20d: 35.8%). Max pain ranged from $320.00 to $480.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.20.

Notable Days

2008-05-01: Highest Volume — 1 contracts
2008-05-30: Largest IV spike — 23.1% change
2008-05-19: Highest IV Rank — 24.3%
2008-05-19: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$302.90	$288.00	$319.36	$289.28	$292.48
Max Pain	$335.24	$320.00	$480.00	$480.00	$320.00
ATM IV	43.4%	36.4%	49.9%	36.4%	45.8%
Expected Move	13.1%	10.4%	14.3%	10.4%	13.1%
HV 20d	35.8%	29.3%	44.4%	44.4%	35.6%
HV 60d	57.6%	52.5%	60.9%	60.1%	52.7%
IV Rank	19.7%	14.7%	24.3%	14.7%	21.4%
IV Percentile	60.4%	36.1%	82.1%	36.9%	66.3%
Term Structure	3.3%	-1.9%	17.9%	16.9%	-1.8%
VWIV	48.0%	46.8%	49.2%	49.2%	46.8%
Skew 25d	-0.6%	-9.1%	25.1%	-9.1%	-6.0%
Skew 10d	1.9%	-6.9%	40.2%	4.5%	-4.3%
Call IV 25d	42.6%	35.9%	49.4%	46.0%	41.0%
Put IV 25d	42.1%	35.0%	63.6%	36.8%	35.0%
Bid-Ask Spread %	42.98	29.67	60.12	49.03	38.79
Gamma HHI	0.45	0.37	0.76	0.38	0.44
Net GEX	1.0K	-271	7.8K	112	-192
Net DEX	76.8K	16.5K	146.3K	146.3K	47.5K
Net VEX	-822	-924	-686	-754	-721
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.00	1.00	0.00	0.00
Total Volume	0.048	0	1	1	0
Total OI	16.619	13	19	18	14

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2008-05-01	$289.28	$480.00	36.4%	10.4%	44.4%	14.7%	0.0%	-9.1%	16.9%	112	146.3K	-754	0.00	49.03	N/A	N/A	1	8	10
2008-05-02	$308.48	$480.00	41.8%	12.0%	40.4%	18.5%	0.0%	0.9%	0.8%	1.0K	92.1K	-924	0.00	48.51	N/A	N/A	0	9	10
2008-05-05	$307.20	$320.00	43.8%	13.3%	39.6%	20.0%	0.0%	-0.2%	3.4%	1.2K	85.0K	-914	0.00	49.29	N/A	N/A	0	9	10
2008-05-06	$300.48	$320.00	36.6%	14.1%	40.1%	14.9%	49.2%	-1.7%	1.3%	972	117.2K	-876	0.00	55.30	N/A	N/A	0	9	10
2008-05-07	$300.48	$320.00	40.5%	14.1%	40.1%	17.6%	0.0%	-2.8%	3.6%	1.3K	114.0K	-882	0.00	58.68	N/A	N/A	0	9	10
2008-05-08	$301.76	$320.00	38.7%	14.1%	39.9%	16.3%	0.0%	-1.1%	1.6%	1.3K	113.5K	-883	0.00	60.12	N/A	N/A	0	9	10
2008-05-09	$302.40	$320.00	41.3%	13.1%	39.9%	18.2%	0.0%	-3.2%	2.3%	1.3K	118.2K	-850	0.00	55.30	N/A	N/A	0	9	10
2008-05-12	$304.96	$320.00	44.6%	14.3%	31.1%	20.5%	0.0%	-3.4%	-1.8%	1.6K	112.8K	-854	0.00	33.99	N/A	N/A	0	9	10
2008-05-13	$304.96	$320.00	46.5%	14.1%	29.3%	21.8%	0.0%	-1.2%	3.3%	1.7K	108.8K	-853	0.00	36.40	N/A	N/A	0	9	10
2008-05-14	$315.20	$320.00	47.9%	14.2%	30.6%	22.9%	0.0%	3.5%	0.1%	3.0K	85.3K	-885	0.00	30.11	N/A	N/A	0	9	10
2008-05-15	$309.76	$320.00	48.2%	13.8%	30.9%	23.1%	0.0%	2.4%	2.1%	2.5K	101.0K	-866	0.00	29.67	N/A	N/A	0	9	10
2008-05-16	$319.36	$320.00	45.8%	13.1%	32.3%	21.4%	0.0%	25.1%	3.8%	7.8K	76.1K	-872	0.00	30.41	N/A	N/A	0	9	10
2008-05-19	$310.08	$320.00	49.9%	14.3%	33.8%	24.3%	0.0%	1.9%	-1.9%	-235	16.5K	-832	0.00	34.10	N/A	N/A	0	7	6
2008-05-20	$303.04	$320.00	46.1%	13.2%	35.0%	21.6%	46.8%	-2.0%	1.9%	-248	27.6K	-801	0.00	39.18	N/A	N/A	0	7	6
2008-05-21	$304.00	$320.00	47.3%	13.6%	35.0%	22.5%	0.0%	-3.1%	2.1%	-176	30.7K	-793	0.00	40.75	N/A	N/A	0	7	6
2008-05-22	$304.32	$320.00	42.4%	12.2%	34.7%	19.0%	0.0%	-1.5%	7.4%	-192	31.3K	-791	1.00	39.77	N/A	N/A	0	7	6
2008-05-23	$302.72	$320.00	46.8%	13.4%	34.8%	22.1%	0.0%	-2.9%	1.6%	-271	38.4K	-780	0.00	47.85	N/A	N/A	0	7	7
2008-05-27	$298.24	$320.00	41.6%	11.9%	34.6%	18.4%	0.0%	-6.3%	3.1%	-186	43.8K	-741	0.00	32.80	N/A	N/A	0	7	7
2008-05-28	$293.76	$320.00	41.9%	12.0%	34.8%	18.6%	0.0%	-5.3%	2.1%	-236	53.4K	-706	0.00	41.69	N/A	N/A	0	7	7
2008-05-29	$288.00	$320.00	37.3%	10.7%	35.2%	15.3%	0.0%	4.3%	17.9%	-181	54.2K	-686	0.00	50.74	N/A	N/A	0	7	7
2008-05-30	$292.48	$320.00	45.8%	13.1%	35.6%	21.4%	0.0%	-6.0%	-1.8%	-192	47.5K	-721	0.00	38.79	N/A	N/A	0	7	7